If depth already exists within the reader, then the character is constructed instantly. When the reader identifies with a character, they recognise certain qualities or traits that they have in common, and so believe the character to be a representation of themselves. The character then acquires the depth of the reader by sharing a personality and becoming an extension of the reader.Many characters, even in a very small part, contain something you can relate to. Josh Lyman is the Deputy Chief of Staff at the White House but in some ways he's still a bit of a child. The Doctor is a Time Lord but he's also a nerd. Dexter Morgan is an emotionless serial killer but he also likes a beer in the evening. Taking characters into yourself (maybe less with the last one) turns them into something important. If someone that's a bit like you doesn't get killed by rampaging demons then you might feel a bit better about yourself.
Mostly though, I just think this is rubbish. Everything on screen is not a representation of ourselves. They are fictional creations written to appear human. They need to have depth by themselves, not relying on some nice viewer or reader to adopt them. So what does it mean when a character is called 'flat' as opposed to 'three-dimensonal' - what does character depth mean? Well, my Very Clever essay used a quote from a real academic-type. They said that a character should act on 'multiple impulses that cohere into a single identity'. Yes. So they need to show more than one impulse, more than one emotion. Tony Soprano is a crime lord but also wants to be a good father. Stringer Bell tries to be a gangster and a businessman at the same time. They need to be more than one thing, they need to change. What's my point? Much like in the essay, I don't have a point. But it's, you know, something to think about.